Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Post Bank Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Post Bank Co., Ltd.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.8%, MDD -26.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.8%, drawdown -56.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -10.8%, Sharpe 0.74, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.7%, MDD -29.4%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 45.6%p (CAGR 6.8%, MDD -26.4%, exposure 38%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.9 |
4.3% | -10.8% | 0.74 | 0.40 | 1.6x | 10 | 4% |
| ADX / DI 방향성 period=10, threshold=36 |
5.3% | -15.8% | 0.63 | 0.33 | 1.7x | 44 | 12% |
| SMA 크로스오버 fast=37, slow=165 |
9.7% | -29.4% | 0.61 | 0.33 | 2.7x | 17 | 50% |
| EMA 크로스오버 fast=54, slow=364 |
8.0% | -36.6% | 0.50 | 0.22 | 2.3x | 9 | 53% |
| ROC 모멘텀 n=138, threshold=-0.01 |
7.9% | -39.3% | 0.50 | 0.20 | 2.3x | 63 | 58% |
| Donchian 채널 돌파 entryN=104, exitN=55 |
6.8% | -26.4% | 0.49 | 0.26 | 2.0x | 15 | 38% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.2 |
5.2% | -23.9% | 0.46 | 0.22 | 1.7x | 28 | 24% |
| Supertrend period=13, mult=4.3 |
4.5% | -43.0% | 0.34 | 0.10 | 1.6x | 45 | 49% |
| MACD fast=18, slow=52, signal=19 |
1.4% | -46.8% | 0.17 | 0.03 | 1.2x | 102 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-1.1% | -59.7% | 0.03 | -0.02 | 0.9x | 121 | 50% |
| Buy and hold | 6.8% | -56.3% | 0.39 | 0.12 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 14-day middle average